Título:

Clustering Financial Time Series with Variance Ratio Statistics

Autores:

João Bastos (U Lisboa)
Jorge Caiado (U Lisboa)

Revista:

Quantitative Finance

Ano:

2014

Volume:

14

Páginas:

2121-2133

Códigos JEL:

C58 - Financial Econometrics
F31 - Foreign Exchange
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies
G15 - International Financial Markets